I bought my speakers, receiver and Blu-ray player from a local big box store (American TV) because buying speakers without listening to them first is usually a bad idea. I bought my TV from Amazon because it was on sale for a crazy low price and I couldn't pass it up. My cables/interconnects are from Amazon and Monoprice because the cables they sell in stores are usually criminally overpriced.
I'm thinking of buying a new Blu-ray player soon, and I'll probably get it online, either from Amazon or the manufacturer's website, depending on which one I decide to get.